Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1242 |
| Annualized Std Dev | 0.3081 |
| Annualized Sharpe (Rf=0%) | -0.4032 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3367.0000 |
| NAs | 1.0000 |
| Minimum | -0.2279 |
| Quartile 1 | -0.0088 |
| Median | -0.0010 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0080 |
| Maximum | 0.2047 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0010 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0004 |
| Stdev | 0.0194 |
| Skewness | -0.3893 |
| Kurtosis | 18.9431 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0138 |
| Gain Deviation | 0.0150 |
| Loss Deviation | 0.0149 |
| Downside Deviation (MAR=210%) | 0.0185 |
| Downside Deviation (Rf=0%) | 0.0139 |
| Downside Deviation (0%) | 0.0139 |
| Maximum Drawdown | 0.9191 |
| Historical VaR (95%) | -0.0250 |
| Historical ES (95%) | -0.0448 |
| Modified VaR (95%) | -0.0269 |
| Modified ES (95%) | -0.0269 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-28 | 2021-02-17 | NA | -0.9191 | 3120 | 3097 | NA |
| 2008-10-10 | 2008-10-13 | 2008-10-24 | -0.2360 | 11 | 2 | 9 |
| 2008-09-18 | 2008-09-19 | 2008-10-06 | -0.1942 | 13 | 2 | 11 |
| 2008-03-20 | 2008-05-19 | 2008-08-12 | -0.1920 | 101 | 42 | 59 |
| 2007-11-27 | 2007-12-06 | 2008-01-16 | -0.1264 | 35 | 8 | 27 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | 1.1 | 0.5 |
| 2008 | -3.1 | 3.8 | -3.6 | -0.5 | -0.8 | 1.7 | 1 | 1.2 | -0.4 | -3.9 | 9.4 | -1.3 | 2.8 |
| 2009 | 1 | 1.6 | -3.3 | -1.4 | -4.6 | -1.9 | -0.3 | 1.6 | 2.9 | 4.8 | -2.8 | -0.4 | -3 |
| 2010 | -2.8 | -1.9 | -2.7 | 1.3 | 1.9 | -0.9 | -0.5 | -3.6 | -1.7 | -1 | -2.8 | -0.7 | -14.5 |
| 2011 | -2.5 | 1 | -1.6 | -0.7 | 1.9 | -1.3 | 0 | 0.4 | 5 | 2.4 | 0.3 | -0.1 | 4.7 |
| 2012 | -2.1 | -1 | 1.5 | -0.7 | 2.6 | -4.4 | 0 | -0.7 | -0.9 | -1.6 | 0.1 | -1.4 | -8.5 |
| 2013 | -0.6 | -0.3 | 1.1 | 1.3 | 1.8 | -0.3 | -1.9 | -0.8 | -2 | 0 | -1.1 | -0.9 | -3.7 |
| 2014 | -0.2 | 0.8 | -1.2 | -0.2 | 1.3 | -0.9 | -0.5 | 0.2 | 2 | -0.4 | 1.7 | 0 | 2.6 |
| 2015 | 2.6 | 0 | -1.3 | -0.6 | 0.2 | 0 | -1 | 3.9 | -0.4 | -0.1 | -0.8 | 0.3 | 2.9 |
| 2016 | 0.9 | -3.6 | 0.2 | 0.5 | 0.1 | -0.9 | 0.1 | -0.7 | -0.5 | 0.8 | 1.1 | 0.7 | -1.3 |
| 2017 | -0.2 | -1.5 | 0.7 | -0.5 | -0.8 | -0.5 | -0.4 | -0.8 | -1.1 | -0.6 | 0.6 | -0.4 | -5.5 |
| 2018 | 1.3 | 0.3 | -2.1 | 0.4 | -1.4 | -1.7 | 0.8 | -0.6 | 0.1 | -3.5 | 0.3 | 0.4 | -5.8 |
| 2019 | 0.8 | 0 | -1.7 | 0.7 | -0.5 | -1.3 | 2.1 | -0.8 | 0.6 | -1.4 | 1.4 | -0.1 | -0.2 |
| 2020 | 1.9 | 0.3 | 4.1 | 3.6 | -2.2 | -1.2 | 0.6 | -1.7 | -1.1 | 1.2 | -2 | 0.1 | 3.3 |
| 2021 | -2.9 | -2.8 | -1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-01 71.5 SPY 151. -0.0234 -0.0053 -0.0179 0.0503 0.0961 0.330 0.689 GLD 77.9 -0.0088 0.025
2 2007-11-02 71.0 SPY 151. 0.0011 -0.0158 -0.0183 0.0341 0.105 0.332 0.708 GLD 79.8 0.0244 0.0275
3 2007-11-05 72.6 SPY 150. -0.0076 -0.0265 -0.0372 0.0154 0.097 0.305 0.662 GLD 79.8 -0.001 0.0209
4 2007-11-06 70.4 SPY 152. 0.0135 -0.0065 -0.019 0.015 0.114 0.305 0.669 GLD 81.4 0.0211 0.0527
5 2007-11-07 73.1 SPY 148. -0.0274 -0.0436 -0.0548 0.0173 0.0712 0.261 0.610 GLD 82.2 0.0099 0.046
6 2007-11-08 72.2 SPY 147. -0.0051 -0.0256 -0.058 0.0169 0.0617 0.257 0.582 GLD 82.2 -0.0001 0.0552
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
